Electrical machines are the central components of many energy conversion systems. Developing the performance of these devices is critical for improved energy management in our society. A new generation of electrical equipment has been enabled by the recent development of additive manufacturing (AM) technologies. This research takes advantage of the greater design freedom given by such approaches to enhance the heat dissipation qualities of the machines in two aspects. Firstly, varying-thickness windings fill up the available space leading to a reduced winding resistance so that the Joule losses can be decreased. Secondly, a novel design of a multi-functional 3D-printed winding is presented. This innovative design accomplishes self-cooling capabilities by including heat sinks into the end-winding. It is achieved by extending the heads of the coils from each turn extremity, creating heat sinks as part of the winding itself. The heat can be extracted directly from the coils to the ambient environment without intermediate pieces. The suggested approaches reduce heat generation and improve heat transmission, allowing for a higher input current. This results in machines with larger power densities for the same volume of permanent magnets while keeping passive cooling. We study a linear coreless permanent magnet machine to explore the concept. Nevertheless, this approach can be applied to different types of electrical machines possibly accommodating other cooling methods.